Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0861 |
| Annualized Std Dev | 0.2776 |
| Annualized Sharpe (Rf=0%) | 0.3103 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3610.0000 |
| NAs | 1.0000 |
| Minimum | -0.1105 |
| Quartile 1 | -0.0071 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0091 |
| Maximum | 0.1294 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0175 |
| Skewness | -0.2749 |
| Kurtosis | 6.6513 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.6567 |
| Historical VaR (95%) | -0.0270 |
| Historical ES (95%) | -0.0430 |
| Modified VaR (95%) | -0.0273 |
| Modified ES (95%) | -0.0491 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-06 | 2009-03-09 | 2011-04-04 | -0.6567 | 713 | 190 | 523 |
| 2018-01-12 | 2020-03-23 | 2021-01-06 | -0.5386 | 739 | 549 | 190 |
| 2011-05-02 | 2011-10-03 | 2013-01-02 | -0.3531 | 421 | 108 | 313 |
| 2014-09-03 | 2016-02-11 | 2016-07-12 | -0.2765 | 468 | 364 | 104 |
| 2007-10-30 | 2008-01-22 | 2008-04-16 | -0.1827 | 116 | 57 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | -1.1 | -1 | -2.7 |
| 2007 | 1 | -0.1 | -0.1 | -0.5 | 1 | 0.3 | 0.1 | 2 | 1.3 | -3 | 1.1 | -1 | 2.1 |
| 2008 | 3.3 | -3.1 | 3.3 | -0.2 | 0.4 | -0.4 | -1.8 | -0.1 | -1.9 | 3.6 | -8.9 | 2.6 | -4 |
| 2009 | -4.2 | -0.8 | 1.4 | 0.9 | 3.7 | 1.2 | 1 | -2.5 | -3.4 | -3.2 | 1.4 | -1.2 | -5.8 |
| 2010 | 1.7 | 2.4 | 1.6 | -2.5 | -2 | -0.8 | 0.4 | 3.9 | 0.6 | -0.3 | 2.4 | -0.4 | 7 |
| 2011 | 2.5 | -2.2 | 0.5 | 0.8 | -2.8 | 1.5 | -0.1 | -2.1 | -3 | -3.5 | 0.2 | 0.3 | -7.9 |
| 2012 | 2.3 | 1.1 | 0 | 0 | -3.2 | 4.8 | -0.6 | 0.9 | 0.2 | 2.2 | 0.2 | 2.1 | 10.1 |
| 2013 | 1.2 | -0.3 | -1.3 | -2.2 | -0.8 | 1.2 | 1.3 | -0.9 | 0.8 | -0.4 | 0.4 | 0.2 | -0.9 |
| 2014 | -0.1 | 0.1 | 1.3 | -0.4 | -0.4 | 0.7 | 0.3 | 0.4 | -3.5 | 2.3 | -1.5 | -1.1 | -2 |
| 2015 | 0 | -0.1 | -0.6 | 1.1 | 0.1 | 0.1 | 0.2 | -3.4 | 1 | 0.2 | 0 | -0.5 | -2 |
| 2016 | -0.4 | 1.4 | 0.5 | 0.2 | 0.1 | 2 | -0.5 | 0.6 | 0.7 | -0.6 | -0.3 | -1.3 | 2.3 |
| 2017 | 0.6 | 2.5 | 0.6 | -0.1 | 0.9 | 0.9 | 0.1 | 1 | 0.1 | 0.2 | -0.2 | -0.4 | 6.3 |
| 2018 | -0.9 | 0.2 | 3.1 | -2.3 | 0.7 | 1.4 | -1.2 | -0.1 | 0.4 | 2.5 | -0.4 | 0 | 3.4 |
| 2019 | 0.8 | 0.1 | 1.6 | -0.9 | -1.2 | 0.5 | -1.9 | 0.3 | -2.1 | 2.7 | -0.7 | 0.5 | -0.4 |
| 2020 | -2.1 | -2.2 | -5.2 | -3.8 | -1.6 | -1.9 | -0.4 | 1.1 | -0.5 | -1.3 | 2.1 | 0.1 | -14.8 |
| 2021 | 4.8 | 2.8 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-10-12 25.5 SPY 136. 0.0087 0.0081 0.0307 0.103 0.160 0.299 0.239 GLD 57.5 0.0107 0.01
2 2006-10-16 26.2 SPY 137. 0.0015 0.013 0.037 0.104 0.153 0.303 0.252 GLD 59.2 0.0102 0.0344
3 2006-10-17 25.8 SPY 136. -0.0031 0.0084 0.0323 0.0853 0.145 0.294 0.240 GLD 58.6 -0.0088 0.0289
4 2006-10-18 25.8 SPY 137. 0.0013 0.011 0.0363 0.0942 0.159 0.310 0.269 GLD 58.6 -0.001 0.0301
5 2006-10-20 25.9 SPY 137. 0.0002 0.0015 0.0377 0.0842 0.163 0.305 0.275 GLD 58.8 -0.0106 0.0036
6 2006-10-24 26.3 SPY 138. 0.003 0.0108 0.0408 0.0871 0.149 0.334 0.266 GLD 58.2 0.0071 -0.0082
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
